I'm trying to draw some arbitrary closed two dimensional curve where I'm focusing on only part of the boundary. I want to label the diameter of the part of the boundary I'm focusing on. Last, I'd like to put a tube encompassing this part of the boundary, and label both. Here is a picture of the situation I desire:

% let the name of this file be main.tex
% compile it with
% pdflatex main (it needs compilation twice or more to make the cross references get properly linked)
% make sure diagram.pdf exists!
\documentclass{article}
\usepackage{graphicx}
\graphicspath{{../../Diagrams/}}
\usepackage{lipsum,xcolor}% for dummy text and color, you might not need it in your production!
\begin{document}
\begin{figure}
\centering
\includegraphics[scale=1]{diagram}
\caption{Diagraming with PSTricks is always fun!}
\label{fig:diagram}
\end{figure}
\lipsum[1-4]
\textcolor{red}{See page~\pageref{fig:diagram}, there is a beautiful example of PSTricks there.}
\end{document}

Screenshot

Notes

Sadly my coordinates are copied by another answerer without paying the license fee. :-)

Diagram Management

Every diagram should be composed in a single, separate, standalone input file. This approach will make your project becomes easier to maintain. It also allows you to reuse the diagrams for other projects. Use standalone document class to get a tight output so any excessive white spaces (excluding the intentionally added borders) will be trimmed.

The recommended approach is to save the input file of each diagram in the same directory (named Diagrams, for example) and should be one at least 2 level higher than the individual project directory. See the directory structure below to illustrate the explanation better.

For users with legacy Windows, replace = with #. Now we have PDF version for each diagram.

Project Management

Every project input file (named Main.tex, for example) should be in a separate project folder. It is also useful for easy maintenance.

Compile the Main.tex with pdflatex Main.tex to get a PDF output. You need 2 or more compilations to make the cross-references get properly rendered or linked.

Import the PDF diagrams from Main.tex using \includegraphics{<digram-name>} provided by graphicx package. Don't forget to set the \graphicspath{{../../Diagrams/},{other-path-if-any/}} right after \usepackage{graphicx}.